Melissa McCarthy Loses Her $9000 Wig

While shooting the summer comedy Tammy, which she co-wrote with her husband Ben Falcone, the actress staged a jet skiing scene with a stunt coordinator. As she now knows, it's harder than it looks.

"We were just doing a test," she said on Chelsea Lately Wednesday. "It's hard to shoot on water because everything's moving...so we did a test and I'm like, 'Isn't it a great idea if I'm in full wig and costume? Because if we shoot some stuff, maybe it's usable.' And I'm like, 'I'm kind of amazing at this,' because I'm really a couple steps ahead. I don't really know how to ride a jet ski—I've never been on one before."

"All I heard was 'faster' and 'dig in.' So I literally cranked it up. I'm going like 45 miles per hour, thinking, 'Oh, god, I'm not skilled. I shouldn't be doing this. But the camera's getting it, so maybe it'll look good and we're ahead of schedule.' I'm like, 'Now I'll dig in.' And I flipped that thing at 45 miles an hour. I don't remember ever leaving it. All of a sudden, I literally was like, 'I'm in water.' I didn't know if I was up or down and I thought, 'Holy god, I've got that wig on,'" McCarthy, 43, recalled. "We don't have a huge budget and a wig's like $9,000...which, by the way, had like 35 pins in it. You couldn't rip it off my head."

She added, "I had to wait to see which way to float, because I didn't know which way to swim."

Despite the loss, McCarthy looked on the bright side. "Everybody was freaking out because I hit so hard and I was like, 'But at least we got it!' and they're like, 'The cameras weren't on!'" she said with a laugh.